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  • Search: subject:"Diagonal-Vech model multivariate GARCH"
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Year of publication
Subject
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Diagonal-Vech model multivariate GARCH 1 unrestricted estimation 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Clara, Pedro Santa 1 Ledoit, Olivier 1 Wolf, Michael 1
Institution
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Department of Economics and Business, Universitat Pompeu Fabra 1
Published in...
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1
Source
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RePEc 1
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Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, Olivier; Clara, Pedro Santa; Wolf, Michael - Department of Economics and Business, Universitat … - 2001
The goal of this paper is to estimate time-varying covariance matrices. Since the covariance matrix of financial returns is known to change through time and is an essential ingredient in risk measurement, portfolio selection, and tests of asset pricing models, this is a very important problem in...
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